StockFetcher Forums · Filter Exchange · historical volatility help<< 1 2 >>Post Follow-up
2,025 posts
msg #52143
Ignore alf44
6/11/2007 12:12:18 PM


Here is the 6/100 - 10/100 Historical Volatility Ratio Filter NOW with the "50 day HV reading of 40% or better" criteria added ! fwiw


Fetcher[/* Historical Volatility Ratio Calculation (compare a 6 day to a 100 day HV AND a 10 day to a 100 day HV) with a 50 day HV above 40% */

/* 6/100 Historical Volatility Check */
set{HistVol_6, Historical Volatility(6,1)}
set{HistVol_100A, Historical Volatility(100,1)}
set{HistVolRatioA, HistVol_6 / HistVol_100A}

set{HVRatioA, count(HistVolRatioA is less than .51, 1)}

/* 10/100 Historical Volatility Check */
set{HistVol_10, Historical Volatility(10,1)}
set{HistVol_100B, Historical Volatility(100,1)}
set{HistVolRatioB, HistVol_10 / HistVol_100B}

set{HVRatioB, count(HistVolRatioB is less than .51, 1)}

/* Check for BOTH Historical Volatility criteria to be met */
set{HVRatioAB, HVRatioA + HVRatioB}

Show all stocks where HVRatioAB is above 1

and Historical Volatility(50,1) is above 40

Average Volume(65) is above 1000000
Price is between 10 and 100

add column separator
add column separator
add column HVRatioA {vrat6_100}
add column HVRatioB {vrat10_100}
add column separator
add column HistVolRatioA {vrat610}
add column HistVolRatioB {vrat10100}
add column separator
and add column Historical Volatility(50,1) {histvol50}
add column separator
add column separator




7 posts
msg #52157
Ignore mistlethrush
6/11/2007 3:58:11 PM

Nice improvement. However, it is sorted on Volume. I wonder if you would consider one of the other columns a better indicator of the strength of the signal. What do you think?


StockFetcher Forums · Filter Exchange · historical volatility help<< 1 2 >>Post Follow-up

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